On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach

Heni Boubaker () and Nadia Sghaier ()

No 2014-281, Working Papers from Department of Research, Ipag Business School

Abstract: This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global financial crisis 2007-2009. The econometric approach is based on

Keywords: dependence; stock markets; extreme value theory; time-varing copulas. (search for similar items in EconPapers)
Pages: 19 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (13)

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